The Warlock requires Soul Shards for certain spells and pets. You receive a Soul Shard by using the Drain Soul spell on a monster as it is dying. A catch is that you cannot get Soul Shards from monsters that don't give you experience. So you can't go into a newbie region and kill easy monsters for Soul Shards. One Soul Shard takes up one slot in your bags, which means you don't want to carry a whole lot of them. However, you do always want to have some in your bags so you can summon your pets. When using Drain Soul the caster cannot do any other action such as move, attack, or cast another spell, or else the spell will be interrupted. If you do not stand still, the Drain Soul will not work. You will need to learn how to do this properly, which can be challenging.
Soul Shard Bag
Tailors can make soul bags to hold soul shards. The smallest is a 20-slot bag, the recipe for which can be purchased in Gadgetzan. The recipe for a larger bag can be found in Scholomance, and one for an even larger bag can be found in Molten Core. In the main UI, these soul bags will display how many shards they contain. So long as the soul bags have room, any soul shards a warlock creates will automatically go into the bag.
Choose equipment that adds to Intelligence, Spirit, and Stamina. Remember that with Drain Life, added mana means added health because you can steal Life more often.
Hate List Management
You will have to learn to balance the monster hate between you and your pet. You need to learn how to back off when the monster is attacking you so that your pet can Taunt the monsters away from you. Stop casting spells, and use whatever Taunt abilities your pet might have. Learn which spells really make monsters angry and factor that in before you use them.
Playing the Warlock
Now that you know the basics of the Warlock, you have to learn how to play the class. At the start of combat, you will likely want to cast your DOTs and tell your pet to attack the enemy. Next you will cast other spells and possibly Drain Life to bring your health back up. Then, if you want a Soul Shard, you will need to cast Drain Soul right before the monster dies.
Cast several DOTs on the monster, then cast Fear on it. As the monster runs away, hit it with direct damage spells.
Use Fear if you pull too many monsters at once. Be warned that fleeing monsters may bring friends back with them, so use Fear carefully.
Demon Trainers sell grimoires which you can buy even without the pet. You can right-click on it at any convenient time with the proper pet summoned to teach the pet the new spell.
You can pick whatever you want. You might find these more tailored to the Warlock:
Tailoring - Make cloth armor for the Warlock or other players to wear.
Fishing/Cooking/First Aid - Heal the Warlock.
Herbalism/Alchemy - Make cool potions for the Warlock to use.
Enchanting - Enchant your equipment and sell enchantments.